山西证券：研究早观点-20240913

Market Overview - The current market indices show a slight decline, with the Shanghai Composite Index closing at 2,717.12, down by 0.17% [1] - The Shenzhen Component Index closed at 8,054.24, down by 0.63% [1] - The CSI 300 Index closed at 3,172.47, down by 0.43% [1] Interest Rate Derivatives Report - The inverted shape of the interest rate swap curve implies strong expectations for interest rate cuts [2] - The FR007 interest rate swaps are primarily used by institutional investors for hedging and trading, indicating a mature pricing mechanism that accurately reflects market expectations for future funding rates [2] Inversion Implications - According to no-arbitrage pricing theory, the probability of a decrease in the funding rate is significant: - 100% probability of at least a 5 basis points (bp) drop within 3 months - 53% probability of a 5 bp drop within 6 months, with a 47% chance of a 10 bp drop - 100% probability of at least a 15 bp drop within 9 months - 100% probability of at least a 20 bp drop within 1 year - 77% probability of an additional 5 bp drop after 1 year [3] Future Outlook - The current inverted interest rate swap curve is unprecedented in historical context, reflecting a weak fundamental backdrop and a cautious macro policy stance [4] - It is anticipated that the curve will continue to flatten, with at least one 10 bp rate cut expected within the year [4] - Predictions suggest that the 10-year government bond yield may drop to 2.0% and the 30-year yield to 2.1% [4]